Headphones?

Good! I got an iPod Nano for Christmas.

Bad! I can't use in-ear headphones, and neither of the pairs of normal headphones we had kicking around the house let the Nano pump out enough volume to be properly audible over the loud music at the gym. ("Ask the gym to turn the music down" is likely to be a non-starter.)

I'm interested in recommendations for something that'll let me hear my own stuff. The type of headphones which fit over one's ear in the style of a hands-free kit might work, or conventional ones; anything that relies on the shape of one's ear opening to hold it in place is a no-go.